Artikel

Testing the weak-form efficiency market hypothesis: Evidence from Nigerian stock market

In recent years, the Nigerian Stock Exchange (NSE) has witnessed an unprecedented growth in market capitalization, membership, value and volume traded. By December 2007, the All Share Index has grown massively over 57,990.2 from 1113.4 in January 1993. This rising interest in investment opportunities in the NSE raises questions about its efficiency. This paper tests the Weak-form Efficient Market Hypothesis of the NSE by hypothesizing Normal distribution and Random walk of the return series. Daily and weekly All Share Index and five most traded and oldest bank stocks of the NSE are examined from January 2007 to December 2009 for the daily data and from June 2005 to December, 2009 for the weekly data. The empirical findings derived from the autocorrelation tests for the observed returns conclusively reject the null hypothesis of the existence of a random walk for the market index and four out of the five selected individual stocks. In general, it can be concluded that the NSE stock market is inefficient in the weak form. Given the empirical evidence that the stock market is weak-form inefficient, it is believed that anomalies in stock returns could be existent in the market and reduction of transaction cost so as to improve market activities and minimizing institutional restrictions on trading of securities in the bourse were therefore recommended.

Sprache
Englisch

Erschienen in
Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 03 ; Year: 2012 ; Issue: 1 ; Pages: 117-136 ; Abuja: The Central Bank of Nigeria

Klassifikation
Wirtschaft
Thema
Weak-form Efficiency
Random-walk
Autoregression
Nigerian Stock Exchange
Runs
Variance Ratio tests

Ereignis
Geistige Schöpfung
(wer)
Gimba, Victor K.
Ereignis
Veröffentlichung
(wer)
The Central Bank of Nigeria
(wo)
Abuja
(wann)
2012

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Gimba, Victor K.
  • The Central Bank of Nigeria

Entstanden

  • 2012

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